He was assigned to the Gordon Highlanders for no other reason than his first name's Scottish roots. Later recruited to the Special Operations Executive, he worked behind enemy lines in occupied Scandinavia - both in Norway and Sweden - as a spy and saboteur, famously blowing up a Nazi munitions train only miles from his own family home in Leksand, Dalarna. After a harrowing escape, recounted in his wartime memoir Sweet is War, he was put in charge of SOE's activities in Southern Italy, where he participated in the Anzio landings.
In Scandinavia, Major Munthe had established a network of 'Friends' which he called the "Red Horse", in imitation of the Baroness Orczy's Scarlet Pimpernel. In Southern Italy, he took the mimicry further, dressing as a (large) old lady to smuggle a radio transmitter past Nazi lines and coordinate SOE activity in the occupied zone. Munthe was also instrumental in the rescue of liberal philosopher Benedetto Croce and his family, held captive in Sorrento, and their flight to Capri where his father Axel Munthe's house Villa San Michele provided shelter.
Major Malcolm Munthe was decorated with the Military Cross for bravery.
After an abortive attempt at a political career with the Conservative Party, Munthe re-directed his work towards maintaining the family homes in England, Sweden and Italy. He sold his father's remaining properties on Capri (the Villa Materita, inter alia), and bought the Castello di Lunghezza, a 108-room castle outside Rome. He opened Hildasholm, the property Axel Munthe had built for his wife Hilda in northern Sweden, to the public, and did the same for Hellens and Southside House in England under the auspices of the Pennington-Mellor-Munthe Charity Trust, now (2007) chaired by his eldest son Adam John Munthe.
Munthe dedicated his later years to running those properties, and writing, including a history of Hellens, Hellen's, Much Marcle, Herefordshire and Special Forces Club.
Described by Sir Angus Ogilvy as 'the last true English eccentric', he died at Southside House in November 1995.